US WMA Overshoot Analysis

First piece of work, rest to follow soon
Overshoot Study
Index overshoot study beyond its weekly moving
averages.
By :Harman Bajwa (bajwaharman@yahoo.com)
09
By: Harman Bajwa Stock Overshoot Study bajwaharman@yahoo.com
Index
Title Page no:
Introduction 2
Std Deviation Charts 3
Std Dev tables 4
Highest/Lowest ever shootout charts 7
No: of weeks index was above/below std dev 9
S&P 11
Dow Jones Industrial Average 14
Nasdaq Composite 17
Dow Jones Transport Index 20
Dow Jones Utility Index 23
Dow Jones – AIG Commodity Index 26
Nasdaq Financial 29
Nasdaq Bank 32
Nasdaq telecommunications Index 35
Nasdaq Computers Index 38
Conclusion 41
2
Stock Overshoot beyond Weekly Moving Averages study
The purpose of this report is to analyse the historical movement of US’s major indexes
beyond their 10 Week Moving Average, 20 Week Moving Average and 40 week moving
average. Benefit of this study would be:-
 One can set realistic expectation out of each sector in its each bullish or bearish
move.
 If the specific sector has over run and is way beyond its historic overshoot, one can
think of going under weight on particular sector. (Definition:- Overshoot is the
%age amount the stock has moved beyond its specific moving average)
 Moving Averages are lagging indicators and if followed we miss near tops to exit
and near bottoms to enter. However, if we know the average standard deviation
expected from index, we can be in better position to take a well informed and
objective investment decision.
 The overshoot %ages, can we kept as an stop loss or profit booking points. It will
reduce the variance and increase the returns/trade due to pre-determined low
deviation entry and exit.
 One would be saved from wild swings in markets that come once in while or
decades, but once they come they wipe out more than 50% of the value.
For the purpose of study, following indexes were taken(Weekly data from -as mentioned -to
today):-
 DJIA (Jan, 1928)

 S&P 500 ( Jan, 1950)
 Nasdaq Composite ( Feb ,1971)
 Nasdaq Financials ( Jan, 2000)
 Nasdaq Banking (Oct, 1990)
 DJ Utility (Jan, 1929)
 DJ Transport (Oct, 1928)
 DJ-AIG Commodity (Jan, 1991)
 Nasdaq telecommunication( May, 1996)
 Nasdaq Computers( July 1995).
3
Following Charts show the Standard Deviation of the overshoot beyond indexes prepective
moving averages
Std Dev of Overshoot of Index beyond 10 WMA

9
8
7
6
5
4
3
2 Index beyong 10 WMA
1
0
S&P
Nasdaq Fin
DJIA
Nasdaq
DJ Trans
DJ Utility
Nasdaq Bank
Nasdaq Tele
Nasdaq Compu
DJ-AIG Comm
Std Dev of Index Overshoot beyond 20 WMA

14
12
10
4 Index beyond 20 WMA

2
0
DJ Trans
S&P
Nasdaq
Nasdaq Bank
Nasdaq Fin
Nasdaq Tele
DJIA
DJ-AIG Comm
DJ Utility
Nasdaq Compu
4
Std dev of Index Overshoot beyond 40WMA

25
20
15
10
Index beyond 40 WMA

5
Nasdaq Bank
S&P
DJ-AIG Comm
DJIA
Nasdaq
DJ Trans
DJ Utility
Nasdaq Fin
Nasdaq Tele
Nasdaq Compu
Standard Deviation for all the Indexes In %age for overshoot beyond 10 WMA
Index beyond 10
Index WMA
S&P 3.50
DJIA 4.39
Nasdaq 5.39
DJ Trans 6.19
DJ Utility 4.84
DJ-AIG Comm 3.61
Nasdaq Bank 4.33
Nasdaq Fin 4.75
Nasdaq Tele 8.40
Nasdaq Compu 7.73
5
Index beyond 20
Index WMA
S&P 5.14
DJIA 6.48
Nasdaq 8.24
DJ Trans 9.23
DJ Utility 7.03
DJ-AIG
Comm 5.67
Nasdaq
Bank 6.48
Nasdaq Fin 6.39
Nasdaq Tele 13.21
Nasdaq
Compu 11.67
6
Index beyond 40
Index WMA
S&P 7.71
DJIA 9.45
Nasdaq 12.12
DJ Trans 13.10
DJ Utility 9.93
DJ-AIG
Comm 8.92
Nasdaq
Bank 10.01
Nasdaq Fin 8.94
Nasdaq Tele 20.76
Nasdaq
Compu 17.57
7
Following charts show highest and lowest ever overshoot beyond the respective moving
averages
Highest/Lowest Overshoot beyond 10 WMA

80.00
60.00
40.00
20.00
Highest/Lowest Overshoot
0.00
-20.00
-40.00
-60.00
Highest/Lowest Overshoot beyond 20 WMA (%age)

100.00
80.00
60.00
40.00
20.00 Highest/Lowest Overshoot
0.00
-20.00
-40.00
-60.00
8
Highest/Lowest Overshoot beyond 40 WMA (%age)

100.00
80.00
60.00
40.00
20.00
Highest/Lowest Overshoot
0.00
-20.00
-40.00
-60.00
-80.00
Now let us see that for how many weeks or %age of total weeks, indexes remain beyond the
standard deviation level of overshoots.
%age number of weeks Index was more/less than Std

Dev of overshoot of 10 WMA
18
16
14
12
10
8
6
4
2
0 %age weeks
DJIA +tive
DJIA -tive
DJ Utili -tive
DJ Utili +tive
DJ-AIG Comm -tive
Nasq Bank -tive
Nasq Comp -tive

DJ-AIG Comm +tive
S&P +tive
S&P -tive
Nasq Compo +tive

Nasq Compo _tive
Nasq Fin -tive
Nasq Tel -tive
Nasq Comp +tive

DJ Trans -tive
Nasq Bank +tive
Nasq Fin +ive
Nasq Tel +tive

DJ Trans +ive
9
0
5
10
15
20
25
0
5
10
15
20
25
30
S&P +tive S&P +tive
S&P -tive S&P -tive
DJIA +tive
By: Harman Bajwa
DJIA +tive
DJIA -tive
DJIA -tive
Nasq Compo +tive
Nasq Compo _tive Nasq Compo +tive
Nasq Compo _tive
DJ Trans +ive
DJ Trans -tive
DJ Trans +ive
DJ Utili +tive DJ Trans -tive
DJ Utili -tive
DJ Utili +tive
DJ-AIG Comm +tive
DJ Utili -tive
DJ-AIG Comm -tive
Nasq Bank +tive DJ-AIG Comm +tive

Nasq Bank -tive DJ-AIG Comm -tive
Stock Overshoot Study
Nasq Fin +ive

Nasq Bank +tive
Nasq Fin -tive
Nasq Bank -tive
Nasq Tel +tive
Nasq Tel -tive Nasq Fin +ive
Nasq Fin -tive
Nasq Comp +tive than std dev of overshoot of 40 WMA
Dev of overshoot of 20 WMA
Nasq Comp -tive

Nasq Tel +tive
%age number of weeks index was more/less
Nasq Tel -tive
Nasq Comp +tive

Nasq Comp -tive
%age weeks
%age number of weeks Index was more/less than Std
bajwaharman@yahoo.com
10
%age weeks
S&P : June 15th, 2009 Overshoot: 0.99% (10 WMA), 7.6% (20 WMA), 2.6 %(40 WMA)
Down %age
side up side weeks
aver aver Highest Lowest - beyond % weeks
Std beyond beyond +tive tive +tive std beyond -tive std
Deviation std dev std dev Overshoot overshoot dev dev
10 WMA 3.500 -6.120 5.107 12.4 -25.87 16.600 10.250
20 WMA 5.150 -9.479 7.540 19.36 -29 20.950 8.790
40 WMA 7.710 -12.939 11.143 22.07 -35.38 23.800 8.350
Since 1950
S&P Overshoot beyond 10 WMA

15
10
0
06/03/1950
06/03/1953
06/03/1956
06/03/1959
06/03/1962
06/03/1965
06/03/1968
06/03/1971
06/03/1974
06/03/1977
06/03/1980
06/03/1983
06/03/1986
06/03/1989
06/03/1992
06/03/1995
06/03/1998
06/03/2001
06/03/2004
06/03/2007
-5
Overshoot
-10
-15
-20
-25
-30
S&P overshoot beyond 10 WMA, last 5 years

15
10
5
0
01/06/2004
-5 01/06/2005 01/06/2006 01/06/2007 01/06/2008 01/06/2009
10 WMA
-10
-15
-20
-25
-30
11
S&P overshoot beyond 20WMA

30
20
10
0
15/05/1950
15/05/1953
15/05/1956
15/05/1959
15/05/1962
15/05/1965
15/05/1968
15/05/1971
15/05/1974
15/05/1977
15/05/1980
15/05/1983
15/05/1986
15/05/1989
15/05/1992
15/05/1995
15/05/1998
15/05/2001
15/05/2004
15/05/2007
Overshoot
-10
-20
-30
-40

15
10
5
0
01/06/2004
-5 01/06/2005 01/06/2006 01/06/2007 01/06/2008 01/06/2009
-10 Overshoot
-15
-20
-25
-30
-35
12
S&P overshoot beyond 40 WMA

30
20
10
0
02/10/1950
02/10/1953
02/10/1956
02/10/1959
02/10/1962
02/10/1965
02/10/1968
02/10/1971
02/10/1974
02/10/1977
02/10/1980
02/10/1983
02/10/1986
02/10/1989
02/10/1992
02/10/1995
02/10/1998
02/10/2001
02/10/2004
02/10/2007
Overshoot
-10
-20
-30
-40

15
10
5
0
01/06/2004
-5 01/06/2005 01/06/2006 01/06/2007 01/06/2008 01/06/2009
-10
Overshoot
-15
-20
-25
-30
-35
-40
13
DJIA : June 15th, 2009 Overshoot : 1.1% (10 WMA), 6.5% (20 WMA), 0.6% (40 WMA)
Down %age
side up side weeks % weeks
aver aver Highest Lowest - beyond beyond -
Std beyond beyond +tive tive +tive std tive std
10 WMA 4.390 -8.467 6.753 36.390 -27.720 11.230 9.250
20 WMA 6.490 -12.537 9.718 40.320 -33.000 13.210 9.400
40 WMA 9.460 -18.083 13.821 53.670 -45.120 17.600 9.230
DJIA overshoot beyond 10 WMA

40.000
30.000
20.000
10.000
0.000 Overshoot
03/12/1928
03/12/1932
03/12/1936
03/12/1940
03/12/1944
03/12/1948
03/12/1952
03/12/1956
03/12/1960
03/12/1964
03/12/1968
03/12/1972
03/12/1976
03/12/1980
03/12/1984
03/12/1988
03/12/1992
03/12/1996
03/12/2000
03/12/2004
03/12/2008
-10.000
-20.000
-30.000
-40.000

15.000
10.000
5.000
0.000
01/06/2004
-5.000 01/06/2005 01/06/2006 01/06/2007 01/06/2008 01/06/2009
Overshoot
-10.000
-15.000
-20.000
-25.000
-30.000
14

50.000
40.000
30.000
20.000
10.000
Overshoot
0.000
11/02/1929
11/02/1933
11/02/1937
11/02/1941
11/02/1945
11/02/1949
11/02/1953
11/02/1957
11/02/1961
11/02/1965
11/02/1969
11/02/1973
11/02/1977
11/02/1981
11/02/1985
11/02/1989
11/02/1993
11/02/1997
11/02/2001
11/02/2005
11/02/2009
-10.000
-20.000
-30.000
-40.000

15.000
10.000
5.000
0.000
01/06/2004 01/06/2005 01/06/2006 01/06/2007 01/06/2008 01/06/2009
-5.000
Overshoot
-10.000
-15.000
-20.000
-25.000
-30.000
15

60.000
40.000
20.000
Overshoot
0.000
01/07/1929
01/07/1933
01/07/1937
01/07/1941
01/07/1945
01/07/1949
01/07/1953
01/07/1957
01/07/1961
01/07/1965
01/07/1969
01/07/1973
01/07/1977
01/07/1981
01/07/1985
01/07/1989
01/07/1993
01/07/1997
01/07/2001
01/07/2005
-20.000
-40.000
-60.000

15.000
10.000
5.000
0.000
01/06/2004
-5.000 01/06/2005 01/06/2006 01/06/2007 01/06/2008 01/06/2009
-10.000 Overshoot
-15.000
-20.000
-25.000
-30.000
-35.000
16
Nasdaq : June 15th, 2009 Overshoot: 2.8% (10 WMA), 10.8% (20 WMA), 9.9 %(40 WMA)
Down %age
10 WMA 5.400 -10.113 8.040 17.48 -26.94 16.130 10.330
20 WMA 8.240 -14.658 12.532 29.26 -32.3 18.470 10.240
40 WMA 12.130 -20.865 19.153 51.71 -43.64 18.910 10.190
Nasq Comp overshoot beyond 10 WMA

20
15
10
5
0
05/04/1971
05/04/1973
05/04/1975
05/04/1977
05/04/1979
05/04/1981
05/04/1983
05/04/1985
05/04/1987
05/04/1989
05/04/1991
05/04/1993
05/04/1995
05/04/1997
05/04/1999
05/04/2001
05/04/2003
05/04/2005
05/04/2007
05/04/2009
-5 Overshoot
-10
-15
-20
-25
-30

15
10
5
0
01/06/2004
-5 01/06/2005 01/06/2006 01/06/2007 01/06/2008 01/06/2009
Overshoot
-10
-15
-20
-25
-30
17

40
30
20
10
0 Overshoot
14/06/1971
14/06/1973
14/06/1975
14/06/1977
14/06/1979
14/06/1981
14/06/1983
14/06/1985
14/06/1987
14/06/1989
14/06/1991
14/06/1993
14/06/1995
14/06/1997
14/06/1999
14/06/2001
14/06/2003
14/06/2005
14/06/2007
14/06/2009
-10
-20
-30
-40

20
10
0
01/06/2004 01/06/2005 01/06/2006 01/06/2007 01/06/2008 01/06/2009
-10 Overshoot
-20
-30
-40
18

60
40
20
0 Overshoot
01/11/1971
01/11/1973
01/11/1975
01/11/1977
01/11/1979
01/11/1981
01/11/1983
01/11/1985
01/11/1987
01/11/1989
01/11/1991
01/11/1993
01/11/1995
01/11/1997
01/11/1999
01/11/2001
01/11/2003
01/11/2005
01/11/2007
-20
-40
-60

20
10
0
01/06/2004 01/06/2005 01/06/2006 01/06/2007 01/06/2008 01/06/2009
-10 Overshoot
-20
-30
-40
19
DJ Tran: June 15th, 2009 Overshoot: -0.13% (10 WMA), 7.7% (20 WMA), 2.9 %(40 WMA)
Down %age
10 WMA 6.190 -11.032 9.794 71.69 -31.52 11.280 10.300
20 WMA 9.240 -15.958 14.112 85.2 -48.26 10.970 13.220
40 WMA 13.110 -23.260 19.255 79.59 -60.97 17.350 10.480
DJ Trans overshoot beyond 10 WMA

80
60
40
20 Overshoot
0
03/12/1928
03/12/1932
03/12/1936
03/12/1940
03/12/1944
03/12/1948
03/12/1952
03/12/1956
03/12/1960
03/12/1964
03/12/1968
03/12/1972
03/12/1976
03/12/1980
03/12/1984
03/12/1988
03/12/1992
03/12/1996
03/12/2000
03/12/2004
03/12/2008
-20
-40

20
15
10
5
0
01/06/2004
-5 01/06/2005 01/06/2006 01/06/2007 01/06/2008 01/06/2009 Overshoot
-10
-15
-20
-25
-30
20

100
80
60
40
20 Overshoot
0
11/02/1929
11/02/1933
11/02/1937
11/02/1941
11/02/1945
11/02/1949
11/02/1953
11/02/1957
11/02/1961
11/02/1965
11/02/1969
11/02/1973
11/02/1977
11/02/1981
11/02/1985
11/02/1989
11/02/1993
11/02/1997
11/02/2001
11/02/2005
11/02/2009
-20
-40
-60
DJ Trans Overshoot beyond 20 WMA

20
10
0
01/06/2004 01/06/2005 01/06/2006 01/06/2007 01/06/2008 01/06/2009
-10 Overshoot
-20
-30
-40
21

100
80
60
40
20
Overshoot
0
01/07/1929
01/07/1933
01/07/1937
01/07/1941
01/07/1945
01/07/1949
01/07/1953
01/07/1957
01/07/1961
01/07/1965
01/07/1969
01/07/1973
01/07/1977
01/07/1981
01/07/1985
01/07/1989
01/07/1993
01/07/1997
01/07/2001
01/07/2005
-20
-40
-60
-80
DJ Trans Overshoot beyond 40 WMA

30
20
10
0
01/06/2004
-10 01/06/2005 01/06/2006 01/06/2007 01/06/2008 01/06/2009 Overshoot
-20
-30
-40
-50
22
DJ Util: June 15th, 2009 Overshoot: 2.5% (10 WMA), 3.4% (20 WMA), -2.1 %(40 WMA)
Down %age
10 WMA 4.850 -9.050 8.123 44.93 -35.1 9.700 10.000
20 WMA 7.040 -13.261 11.700 52.97 -37.61 10.170 10.530
40 WMA 9.940 -18.277 15.298 44.83 -45.23 12.470 11.800
DJ Utility overshoot beyond 10 WMA

50
40
30
20
10
Overshoot
0
04/03/1929
04/03/1933
04/03/1937
04/03/1941
04/03/1945
04/03/1949
04/03/1953
04/03/1957
04/03/1961
04/03/1965
04/03/1969
04/03/1973
04/03/1977
04/03/1981
04/03/1985
04/03/1989
04/03/1993
04/03/1997
04/03/2001
04/03/2005
04/03/2009
-10
-20
-30
-40
DJ Utility Overshoot beyond 10 WMA

15
10
5
0
01/06/2004
-5 01/06/2005 01/06/2006 01/06/2007 01/06/2008 01/06/2009
Overshoot
-10
-15
-20
-25
-30
23

60
50
40
30
20
10
Overshoot
0
13/05/1929
13/05/1933
13/05/1937
13/05/1941
13/05/1945
13/05/1949
13/05/1953
13/05/1957
13/05/1961
13/05/1965
13/05/1969
13/05/1973
13/05/1977
13/05/1981
13/05/1985
13/05/1989
13/05/1993
13/05/1997
13/05/2001
13/05/2005
13/05/2009
-10
-20
-30
-40
-50

15
10
5
0
01/06/2004
-5 01/06/2005 01/06/2006 01/06/2007 01/06/2008 01/06/2009
-10 Overshoot
-15
-20
-25
-30
-35
24

50
40
30
20
10
0 Overshoot
30/09/1929
30/09/1933
30/09/1937
30/09/1941
30/09/1945
30/09/1949
30/09/1953
30/09/1957
30/09/1961
30/09/1965
30/09/1969
30/09/1973
30/09/1977
30/09/1981
30/09/1985
30/09/1989
30/09/1993
30/09/1997
30/09/2001
30/09/2005
-10
-20
-30
-40
-50

20
10
0
01/06/2004 01/06/2005 01/06/2006 01/06/2007 01/06/2008 01/06/2009
-10 Overshoot
-20
-30
-40
25
DJ C: June 15th, 2009 Overshoot: 4.4% (10 WMA), 9.5% (20 WMA), 3.5 %(40 WMA)
Down %age
side up side weeks
Std beyond beyond +tive tive +tive beyond -tive
Deviation std dev std dev Overshoot overshoot std dev std dev
10 WMA 3.620 -6.958 5.067 10.04 -23.73 13.490 10.07
20 WMA 5.680 -11.669 7.748 14.27 -33.78 12.800 9.75
40 WMA 8.290 -17.444 11.644 19.27 -43.53 12.540 10.82
DJ-AIG Commodi overshoot beyond 10 WMA

15
10
5
0
03/01/1991
03/01/1992
03/01/1993
03/01/1994
03/01/1995
03/01/1996
03/01/1997
03/01/1998
03/01/1999
03/01/2000
03/01/2001
03/01/2002
03/01/2003
03/01/2004
03/01/2005
03/01/2006
03/01/2007
03/01/2008
03/01/2009
-5
Overshoot
-10
-15
-20
-25
-30

15
10
5
0
01/06/2004
-5 01/06/2005 01/06/2006 01/06/2007 01/06/2008 01/06/2009
Overshoot
-10
-15
-20
-25
-30
26

20
10
0
13/05/1991
13/05/1992
13/05/1993
13/05/1994
13/05/1995
13/05/1996
13/05/1997
13/05/1998
13/05/1999
13/05/2000
13/05/2001
13/05/2002
13/05/2003
13/05/2004
13/05/2005
13/05/2006
13/05/2007
13/05/2008
13/05/2009
-10 Overshoot
-20
-30
-40

20
10
0
01/06/2004 01/06/2005 01/06/2006 01/06/2007 01/06/2008 01/06/2009
-10 Overshoot
-20
-30
-40
27

30
20
10
-10 Overshoot
-20
-30
-40
-50

30
20
10
0
01/06/2004
-10 01/06/2005 01/06/2006 01/06/2007 01/06/2008 01/06/2009 Overshoot
-20
-30
-40
-50
28
Nasq F: June 15th, 2009 Overshoot: 0.53% (10 WMA), 8.0% (20 WMA), -2.2 %(40 WMA)
Down %age
side up side weeks
Std beyond beyond +tive tive +tive std beyond -
Deviation std dev std dev Overshoot overshoot dev tive std dev
10 WMA 4.760 -9.668 7.266 15.44 -22.6 8.920 9.940
20 WMA 6.400 -13.323 8.576 17.83 -29.03 12.010 10.760
40 WMA 8.940 -17.722 11.304 18.24 -40.43 15.110 12.010
Nasq Fin overshoot beyond 10 WMA

20
15
10
5
0
Overshoot
-5
-10
-15
-20
-25

20
15
10
5
0
Overshoot
07/06/2004
-5 07/06/2005 07/06/2006 07/06/2007 07/06/2008 07/06/2009
-10
-15
-20
-25
29
NAsq Fin overshoot beyond 20 WMA

30
20
10
0
Overshoot
-10
-20
-30
-40

30
20
10
0
07/06/2004 07/06/2005 07/06/2006 07/06/2007 07/06/2008 07/06/2009 Overshoot
-10
-20
-30
-40
30

30
20
10
-10 Overshoot
-20
-30
-40
-50

20
10
0
07/06/2004 07/06/2005 07/06/2006 07/06/2007 07/06/2008 07/06/2009
-10
Overshoot
-20
-30
-40
-50
31
Nasq B: June 15th, 2009 Overshoot: -3.4% (10 WMA), 0.9% (20 WMA), -13.9%(40 WMA)
Down %age
Std beyond beyond +tive tive +tive tive std
Deviation std dev std dev Overshoot overshoot std dev dev
10 WMA 4.340 -8.673 6.346 18.28 -24.98 16.820 8.300
20 WMA 6.480 -12.090 9.439 20.14 -33.6 22.900 8.810
40 WMA 10.010 -16.822 14.814 25.96 -41.6 28.350 8.780
Nasq Bank overshoot beyond 10 WMA

25
20
15
10
5
0
Overshoot
24/12/1990
24/12/1991
24/12/1992
24/12/1993
24/12/1994
24/12/1995
24/12/1996
24/12/1997
24/12/1998
24/12/1999
24/12/2000
24/12/2001
24/12/2002
24/12/2003
24/12/2004
24/12/2005
24/12/2006
24/12/2007
24/12/2008
-5
-10
-15
-20
-25
-30

25
20
15
10
5
0
Overshoot
-5
01/06/2004 01/06/2005 01/06/2006 01/06/2007 01/06/2008 01/06/2009
-10
-15
-20
-25
-30
32

30
20
10
0
Overshoot
04/03/1991
04/03/1992
04/03/1993
04/03/1994
04/03/1995
04/03/1996
04/03/1997
04/03/1998
04/03/1999
04/03/2000
04/03/2001
04/03/2002
04/03/2003
04/03/2004
04/03/2005
04/03/2006
04/03/2007
04/03/2008
04/03/2009
-10
-20
-30
-40

30
20
10
0
01/06/2004 01/06/2005 01/06/2006 01/06/2007 01/06/2008 01/06/2009 Overshoot
-10
-20
-30
-40
33

30
20
10
-10 Overshoot
-20
-30
-40
-50

20
10
0
01/06/2004 01/06/2005 01/06/2006 01/06/2007 01/06/2008 01/06/2009
-10
Overshoot
-20
-30
-40
-50
34
Nasq T: Jun 15th, 2009 Overshoot: 3.05% (10 WMA), 14.3% (20 WMA), 17.4 %(40 WMA)
Down %age
side up side weeks
Std beyond beyond +tive tive +tive std beyond -tive std
10 WMA 8.410 -14.861 11.89382 21.69 -30.37 13.32 14.930
20 WMA 13.220 -22.246 19.05433 33.62 -36.14 13.96 16.040
40 WMA 20.760 -33.832 29.35643 51.53 -51.5 14.7 17.830
Nasq Tele overshoot beyond 10 WMA

30
20
10
0
Overshoot
-10
-20
-30
-40

20
10
0
01/06/2004 01/06/2005 01/06/2006 01/06/2007 01/06/2008 01/06/2009
-10 Overshoot
-20
-30
-40
35

40
30
20
10
0 Overshoot
-10
-20
-30
-40

30
20
10
0
01/06/2004 01/06/2005 01/06/2006 01/06/2007 01/06/2008 01/06/2009 Overshoot
-10
-20
-30
-40
36

60
40
20
0 Overshoot
-20
-40
-60

30
20
10
0
01/06/2004
-10 01/06/2005 01/06/2006 01/06/2007 01/06/2008 01/06/2009 Overshoot
-20
-30
-40
-50
37
Nasq Co: June 15th, 2009 Overshoot: 5.0% (10 WMA), 14% (20 WMA), 16.5 %(40 WMA)
Down %age
10 WMA 7.730 -13.979 11.697 7.73 -29.03 15.580 11.440
20 WMA 11.680 -20.236 17.590 11.68 -34.3 15.660 12.020
40 WMA 17.570 -28.871 27.635 17.58 -51.71 15.680 13.380
Nasq Comput overshoot beyond 10 WMA

30
20
10
0
Overshoot
-10
-20
-30
-40

20
15
10
5
0
01/06/2004
-5 01/06/2005 01/06/2006 01/06/2007 01/06/2008 01/06/2009 Overshoot
-10
-15
-20
-25
-30
38

50
40
30
20
10
Overshoot
0
-10
-20
-30
-40

30
20
10
0
01/06/2004 01/06/2005 01/06/2006 01/06/2007 01/06/2008 01/06/2009 Overshoot
-10
-20
-30
-40
39
Nasq Compt overshoot beyond 40 WMA

80
60
40
20
Overshoot
0
-20
-40
-60
Nasq COmput overshoot beyond 40 WMA

30
20
10
0
01/06/2004
-10 01/06/2005 01/06/2006 01/06/2007 01/06/2008 01/06/2009 Overshoot
-20
-30
-40
-50
40
Conclusion:- Based on this study one can rejig his/her portfolio accordingly.
We get a fair idea on which sector is heating up and which sector is still lying in cold.
Another point is, we can set our expectation limits on each sector and can decide on our
investment decisions.
Happy Investing
Harman Bajwa.
bajwaharman@yahoo.com
41

US WMA Overshoot Analysis

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US WMA Overshoot Analysis

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First piece of work, rest to follow soon

Title Page no:

Std Deviation Charts 3

Std Dev tables 4

Highest/Lowest ever shootout charts 7

No: of weeks index was above/below std dev 9

Dow Jones Industrial Average 14

Dow Jones Transport Index 20

Dow Jones Utility Index 23

Dow Jones – AIG Commodity Index 26

Nasdaq telecommunications Index 35

Nasdaq Computers Index 38

Stock Overshoot beyond Weekly Moving Averages study

 DJIA (Jan, 1928)

Std Dev of Overshoot of Index beyond 10 WMA

Std Dev of Index Overshoot beyond 20 WMA

4 Index beyond 20 WMA

Std dev of Index Overshoot beyond 40WMA

Index beyond 40 WMA

DJ-AIG Comm 3.61

Nasdaq Bank 4.33

Nasdaq Fin 4.75

Nasdaq Tele 8.40

Nasdaq Compu 7.73

Nasdaq Fin 6.39

Nasdaq Tele 13.21

Nasdaq Fin 8.94

Nasdaq Tele 20.76

Highest/Lowest Overshoot beyond 10 WMA

Highest/Lowest Overshoot beyond 20 WMA (%age)

20.00 Highest/Lowest Overshoot

Highest/Lowest Overshoot beyond 40 WMA (%age)

%age number of weeks Index was more/less than Std

DJ-AIG Comm -tive

Nasq Bank -tive

Nasq Comp -tive

Nasq Compo +tive

Nasq Fin -tive

Nasq Tel -tive

Nasq Comp +tive

Nasq Bank +tive

Nasq Fin +ive

Nasq Tel +tive

Nasq Bank +tive DJ-AIG Comm +tive

Nasq Fin +ive

Nasq Comp -tive

Nasq Tel -tive

Nasq Comp +tive

S&P Overshoot beyond 10 WMA

S&P overshoot beyond 10 WMA, last 5 years

S&P overshoot beyond 20WMA

S&P overshoot beyond 20 WMA, last 5 years

S&P overshoot beyond 40 WMA

S&P overshoot beyond 40 WMA, last 5 years

DJIA overshoot beyond 10 WMA

DJIA overshoot beyond 10 WMA

DJIA overshoot beyond 20 WMA

DJIA overshoot beyond 20 WMA

DJIA overshoot beyond 40 WMA

DJIA overshoot beyond 40 WMA

Nasq Comp overshoot beyond 10 WMA

Nasq Comp overshoot beyond 10 WMA

Nasq Comp overshoot beyond 20 WMA

Nasq Comp overshoot beyond 20 WMA